Adaptive Market Hypothesis: A Comparison of Islamic and Conventional Stock Indices

Akbar, Muhammad and Ali, Shahid and Ullah, Ihsan and Rehman, Naser (2021) Adaptive Market Hypothesis: A Comparison of Islamic and Conventional Stock Indices. Working Paper 15. Centre for Applied Finance and Economics (CAFE), Birmingham City Business School, Birmingham City University. (Submitted)

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Abstract

We assess informational efficiency of nine Dow Jones Islamic market indices and their counterpart conventional Morgan Stanley indices using data from 1996 to 2020. We test the martingale difference hypothesis of no return predictability overtime and assess the adaptive market hypothesis over different market conditions. We find that the null is rejected in a number of periods in line with the adaptive market hypothesis for both Islamic and conventional stock indices. However, we do not observe any significant differences in return predictability between Islamic and conventional stocks over different market conditions including financial crisis of 2007-08 and COVID-19 pandemic.

Item Type: Monograph (Working Paper)
Identification Number: 15
Date: 16 June 2021
Subjects: N300 Finance
Divisions: Faculty of Business, Law and Social Sciences > Birmingham City Business School > Department of Accounting, Finance and Economics
Faculty of Business, Law and Social Sciences > Birmingham City Business School > Centre for Applied Finance and Economics
Depositing User: Muhammad Akbar
Date Deposited: 17 Jun 2021 14:09
Last Modified: 17 Jun 2021 14:09
URI: http://www.open-access.bcu.ac.uk/id/eprint/11788

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